Eduardo Rossi : Citation Profile


Are you Eduardo Rossi?

Università degli Studi di Pavia

8

H index

5

i10 index

145

Citations

RESEARCH PRODUCTION:

18

Articles

22

Papers

RESEARCH ACTIVITY:

   24 years (1995 - 2019). See details.
   Cites by year: 6
   Journals where Eduardo Rossi has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 10 (6.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro257
   Updated: 2020-08-01    RAS profile: 2020-06-15    
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Relations with other researchers


Works with:

Santucci de Magistris, Paolo (9)

Caporin, Massimiliano (5)

Castagnetti, Carolina (3)

Missale, Alessandro (3)

Bacchiocchi, Emanuele (2)

Trapani, Lorenzo (2)

Bastianin, Andrea (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eduardo Rossi.

Is cited by:

GUPTA, RANGAN (12)

Santucci de Magistris, Paolo (12)

Caporin, Massimiliano (7)

Ruiz, Esther (6)

Gkillas (Gillas), Konstantinos (6)

Otranto, Edoardo (4)

Gallo, Giampiero (4)

Grassi, Stefano (4)

Ranaldo, Angelo (4)

Kočenda, Evžen (4)

Lau, Chi Keung (4)

Cites to:

Bollerslev, Tim (33)

Diebold, Francis (27)

Pesaran, M (25)

Andersen, Torben (23)

Tauchen, George (21)

Bai, Jushan (19)

Engle, Robert (17)

Corsi, Fulvio (14)

Nielsen, Morten (14)

Johansen, Soren (10)

Castagnetti, Carolina (10)

Main data


Where Eduardo Rossi has published?


Journals with more than one article published# docs
Journal of Applied Econometrics2
Journal of Financial Econometrics2
Journal of Econometrics2
Computational Statistics & Data Analysis2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management7
MPRA Paper / University Library of Munich, Germany3
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"2

Recent works citing Eduardo Rossi (2020 and 2019)


YearTitle of citing document
2019OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2019). Yoon, Seong-Min ; Lau, Chi Keung ; Gupta, Rangan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:4:p:1-23.

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2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: CREATES Research Papers. RePEc:aah:create:2019-02.

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2019Testing for Correlated Factor Loadings in Cross Sectionally Dependent Panels. (2019). Serlenga, Laura ; Shin, Yongcheol ; Kapetanios, George. In: SERIES. RePEc:bai:series:series_wp_02-2019.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20192307.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2020Efficient estimation of heterogeneous coefficients in panel data models with common shocks. (2020). Cui, Guowei ; Li, Kunpeng ; Lu, Lina. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:327-353.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019A SHARP model of bid–ask spread forecasts. (2019). Pirino, Davide ; Cattivelli, Luca. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1211-1225.

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2019Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2019Hedging U.S. metals & mining Industrys credit risk with industrial and precious metals. (2019). Shahzad, Syed Jawad Hussain ; Kenourgios, Dimitris ; Hussain, Syed Jawad ; Umar, Zaghum. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:9.

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2019Investors’ financial attention frequency and trading activity. (2019). Lu, Jing ; Cai, Wenwu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301684.

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2019Estimation of Impulse Response Functions When Shocks are Observed at a Higher Frequency than Outcome Variables. (2019). Georgiadis, Georgios ; Chudik, Alexander. In: Globalization Institute Working Papers. RePEc:fip:feddgw:356.

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2017Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach. (2017). Otranto, Edoardo ; Gallo, Giampiero. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2017_05.

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2018Long-Term Electricity Load Forecasting Considering Volatility Using Multiplicative Error Model. (2018). Khuntia, Swasti R ; MART, ; Rueda, Jose L. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3308-:d:185892.

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2019Resuscitating the co-fractional model of Granger (1986). (2019). Santucci de Magistris, Paolo ; Carlini, Federico. In: Discussion Papers. RePEc:not:notgts:19/01.

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2019Dynamic discrete mixtures for high frequency prices. (2019). Santucci de Magistris, Paolo ; di Mari, Roberto ; Catania, Leopoldo. In: Discussion Papers. RePEc:not:notgts:19/05.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:122.

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2019A Box-Cox semiparametric multiplicative error model. (2019). Zhang, Xuehai . In: Working Papers CIE. RePEc:pdn:ciepap:125.

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2020Periodic autoregressive conditional duration. (2020). Almohaimeed, Bader ; Aknouche, Abdelhakim ; Dimitrakopoulos, Stefanos. In: MPRA Paper. RePEc:pra:mprapa:101696.

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2019Cholesky-ANN models for predicting multivariate realized volatility. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95137.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements. (2018). Suleman, Tahir ; Lau, Chi Keung ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201871.

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2018Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201879.

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2019Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility. (2019). Marfatia, Hardik ; GUPTA, RANGAN ; Cakan, Esin. In: Working Papers. RePEc:pre:wpaper:201916.

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2019Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets. (2019). Kyei, Clement ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201939.

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2019125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets. (2019). Miller, Stephen ; Marfatia, Hardik ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201956.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS. (2019). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/970.

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2018Using realistic trading strategies in an agent-based stock market model. (2018). Llacay, Barbara ; Peffer, Gilbert. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:24:y:2018:i:3:d:10.1007_s10588-017-9258-0.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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2019Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value. (2019). Liu, LI ; Wei, YU ; Zhang, Yaojie. In: Quantitative Finance. RePEc:taf:quantf:v:19:y:2019:i:9:p:1425-1438.

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2019Time-varying tail behavior for realized kernels. (2019). Lucas, Andre ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190051.

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2017A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities. (2017). Veiga, Helena ; Ruiz, Esther ; Gonzalez-Rivera, Gloria ; Mazzeu, Joao Henrique . In: Working Papers. RePEc:ucr:wpaper:201709.

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2018Volatility jumps and macroeconomic news announcements. (2018). Gray, Philip ; Chan, Kam F. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:8:p:881-897.

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Works by Eduardo Rossi:


YearTitleTypeCited
2009Long Memory and Tail dependence in Trading Volume and Volatility In: CREATES Research Papers.
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paper20
2013Long memory and tail dependence in trading volume and volatility.(2013) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 20
article
2009A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility In: CREATES Research Papers.
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paper3
2011Estimation of long memory in integrated variance In: CREATES Research Papers.
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paper9
2012Estimation of long memory in integrated variance.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 9
paper
2014Estimation of Long Memory in Integrated Variance.(2014) In: Econometric Reviews.
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This paper has another version. Agregated cites: 9
article
2014Volatility jumps and their economic determinants In: CREATES Research Papers.
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paper18
2016Volatility Jumps and Their Economic Determinants.(2016) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 18
article
2014Chasing volatility - A persistent multiplicative error model with jumps In: CREATES Research Papers.
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paper8
2014Chasing Volatility. A Persistent Multiplicative Error Model With Jumps.(2014) In: Marco Fanno Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Indirect inference with time series observed with error In: CREATES Research Papers.
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paper2
2018Indirect inference with time series observed with error.(2018) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 2
article
2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach In: Working Papers.
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paper1
2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows In: Papers.
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paper2
2016Structural analysis with mixed frequencies: monetary policy, uncertainty and gross capital flows.(2016) In: Working Papers.
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2005Artificial regression testing in the GARCH-in-mean model In: Econometrics Journal.
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article1
2010Efficient importance sampling maximum likelihood estimation of stochastic differential equations In: Computational Statistics & Data Analysis.
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article5
2010Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis In: Computational Statistics & Data Analysis.
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article9
2008Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 9
paper
2020Structural analysis with mixed-frequency data: A model of US capital flows In: Economic Modelling.
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article0
2015Testing for no factor structures: On the use of Hausman-type statistics In: Economics Letters.
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article1
2015Inference on factor structures in heterogeneous panels In: Journal of Econometrics.
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article2
2012Inference on Factor Structures in Heterogeneous Panels.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 2
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2014Inference on Factor Structures in Heterogeneous Panels.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 2
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2017Chasing volatility In: Journal of Econometrics.
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article2
2019A two-stage estimator for heterogeneous panel models with common factors In: Econometrics and Statistics.
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article1
2014A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 1
paper
1995A multivariate GARCH model for exchange rates volatility. In: LIUC Papers in Economics.
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2015Long Memory and Periodicity in Intraday Volatility In: Journal of Financial Econometrics.
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article18
2012Long memory and Periodicity in Intraday Volatility.(2012) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 18
paper
2011Conditional jumps in volatility and their economic determinants In: Marco Fanno Working Papers.
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paper5
2012Independent Factor Autoregressive Conditional Density Model In: DEM Working Papers Series.
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paper7
2015Independent Factor Autoregressive Conditional Density Model.(2015) In: Econometric Reviews.
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This paper has another version. Agregated cites: 7
article
2014Testing for no factor structures: on the use of average-type and Hausman-type statistics In: DEM Working Papers Series.
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paper0
2008Euro corporate bonds risk factors In: MPRA Paper.
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paper11
2013EURO CORPORATE BOND RISK FACTORS.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 11
article
2008Estimation methods in panel data models with observed and unobserved components: a Monte Carlo study In: MPRA Paper.
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2010Univariate GARCH models: a survey (in Russian) In: Quantile.
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article2
2002Hedging interest rate risk with multivariate GARCH In: Applied Financial Economics.
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article6
2013A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges In: Journal of Futures Markets.
[Citation analysis]
article12

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